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Optimising VAR and terminating Arnie-VAR

Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures

Claudio Albanese, Simone Caenazzo, Mark Syrkin

11 Oct 2017

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Hedging of value-at-risk is becoming a crucial practice for reducing gratuitous risk exposures and funding costs. Claudio Albanese, Simone Caenazzo and Mark Syrkin find sensitivity-based VAR measures are liable to fail backtesting requirements for hedged portfolios, while full-valuation VAR is a more robust metric that is broadly applicable. They also discuss a regression-based approach to computing hedge ratios